linearmodels.asset_pricing.results.LinearFactorModelResults.rsquared¶

property LinearFactorModelResults.rsquared : float¶

Coefficient of determination (R**2).

Returns:¶

The coefficient of determination of the returns of all portfolios.

Return type:¶

float

Notes

The coefficient of determination is NaN if the total sum of squares of the returns, about their means, is zero, up to rounding error. The models reject portfolios that contain a constant, so that the returns vary and the coefficient of determination is defined.